公司理财（英文版·第3版）斯蒂芬·A·罗斯-Chap010.pptVIP

The return of large company stocks has a standard deviation of 20.5 from 1926 through 2009. That standard deviation can be interpreted as follows: if stock returns are approximately normally distributed, the probability that a yearly return will fall within 20.5% of the mean of 11.8% will be approximately 2/3. Example – Return and Variance Year Actual Return Average Return Deviation from the Mean Squared Deviation 1 .15 .105 .045 .002025 2 .09 .105 -.015 .000225 3 .06 .105 -.045 .002025 4 .12 .105 .015 .000225 Totals .00 .0045 Variance = .0045 / (4-1) = .0015 Standard Deviation = .03873 The past US stock market risk premium has been substantial Did US investors earn particularly large returns? Comparison to international markets is useful: Greater than 50% of tradable stock is not in the US 17 have an average risk premium of 7.1% US premium is 7.4% US Investors did well, but not dramatically better than investors internationally Apparent global MRP mean is 7.1% Given US 7.4% mean MRP with a 19.6% standard deviation, there is a 95% probability that actual MRP is between 5.5 and 9.3 % 226 financial economists independently estimated MRP at 7% Conclusion: US MRP estimate of 7% is reasonable barring unforeseen changes in risk environment. 2008 was one of the worst years for stock investors SP Index decreased 37% Of 500 stocks in index 485 were down for the year The beginning of 2009 was also bad with a 25.1% further SP decline From November 2007 through March 9, 2009 the SP lost 56.8% of its value Things turned around dramatically in the remainder of 2009, with the market gaining about 65% Global Phenomenon – No economy unscathed Some securities performed well: Treasury Bonds High Quality Corporate Bonds “Flight to Quality” Phenomenon Reminder that stocks have significant risk and can under- as well as over-perform the mean Argues for careful diversification Suggests that MRP may be greater than 7% right now Arithmetic average – return earned in an average per